double precision function dpmpar(i) integer i c ********** c c Function dpmpar c c This function provides double precision machine parameters c when the appropriate set of data statements is activated (by c removing the c from column 1) and all other data statements are c rendered inactive. Most of the parameter values were obtained c from the corresponding Bell Laboratories Port Library function. c c The function statement is c c double precision function dpmpar(i) c c where c c i is an integer input variable set to 1, 2, or 3 which c selects the desired machine parameter. If the machine has c t base b digits and its smallest and largest exponents are c emin and emax, respectively, then these parameters are c c dpmpar(1) = b**(1 - t), the machine precision, c c dpmpar(2) = b**(emin - 1), the smallest magnitude, c c dpmpar(3) = b**emax*(1 - b**(-t)), the largest magnitude. c c Argonne National Laboratory. MINPACK Project. November 1996. c Burton S. Garbow, Kenneth E. Hillstrom, Jorge J. More' c c ********** integer mcheps(4) integer minmag(4) integer maxmag(4) double precision dmach(3) equivalence (dmach(1),mcheps(1)) equivalence (dmach(2),minmag(1)) equivalence (dmach(3),maxmag(1)) c c Machine constants for the IBM 360/370 series, c the Amdahl 470/V6, the ICL 2900, the Itel AS/6, c the Xerox Sigma 5/7/9 and the Sel systems 85/86. c c data mcheps(1),mcheps(2) / z34100000, z00000000 / c data minmag(1),minmag(2) / z00100000, z00000000 / c data maxmag(1),maxmag(2) / z7fffffff, zffffffff / c c Machine constants for the Honeywell 600/6000 series. c c data mcheps(1),mcheps(2) / o606400000000, o000000000000 / c data minmag(1),minmag(2) / o402400000000, o000000000000 / c data maxmag(1),maxmag(2) / o376777777777, o777777777777 / c c Machine constants for the CDC 6000/7000 series. c c data mcheps(1) / 15614000000000000000b / c data mcheps(2) / 15010000000000000000b / c c data minmag(1) / 00604000000000000000b / c data minmag(2) / 00000000000000000000b / c c data maxmag(1) / 37767777777777777777b / c data maxmag(2) / 37167777777777777777b / c c Machine constants for the PDP-10 (KA processor). c c data mcheps(1),mcheps(2) / "114400000000, "000000000000 / c data minmag(1),minmag(2) / "033400000000, "000000000000 / c data maxmag(1),maxmag(2) / "377777777777, "344777777777 / c c Machine constants for the PDP-10 (KI processor). c c data mcheps(1),mcheps(2) / "104400000000, "000000000000 / c data minmag(1),minmag(2) / "000400000000, "000000000000 / c data maxmag(1),maxmag(2) / "377777777777, "377777777777 / c c Machine constants for the PDP-11. c c data mcheps(1),mcheps(2) / 9472, 0 / c data mcheps(3),mcheps(4) / 0, 0 / c c data minmag(1),minmag(2) / 128, 0 / c data minmag(3),minmag(4) / 0, 0 / c c data maxmag(1),maxmag(2) / 32767, -1 / c data maxmag(3),maxmag(4) / -1, -1 / c c Machine constants for the Burroughs 6700/7700 systems. c c data mcheps(1) / o1451000000000000 / c data mcheps(2) / o0000000000000000 / c c data minmag(1) / o1771000000000000 / c data minmag(2) / o7770000000000000 / c c data maxmag(1) / o0777777777777777 / c data maxmag(2) / o7777777777777777 / c c Machine constants for the Burroughs 5700 system. c c data mcheps(1) / o1451000000000000 / c data mcheps(2) / o0000000000000000 / c c data minmag(1) / o1771000000000000 / c data minmag(2) / o0000000000000000 / c c data maxmag(1) / o0777777777777777 / c data maxmag(2) / o0007777777777777 / c c Machine constants for the Burroughs 1700 system. c c data mcheps(1) / zcc6800000 / c data mcheps(2) / z000000000 / c c data minmag(1) / zc00800000 / c data minmag(2) / z000000000 / c c data maxmag(1) / zdffffffff / c data maxmag(2) / zfffffffff / c c Machine constants for the Univac 1100 series. c c data mcheps(1),mcheps(2) / o170640000000, o000000000000 / c data minmag(1),minmag(2) / o000040000000, o000000000000 / c data maxmag(1),maxmag(2) / o377777777777, o777777777777 / c c Machine constants for the Data General Eclipse S/200. c c Note - it may be appropriate to include the following card - c static dmach(3) c c data minmag/20k,3*0/,maxmag/77777k,3*177777k/ c data mcheps/32020k,3*0/ c c Machine constants for the Harris 220. c c data mcheps(1),mcheps(2) / '20000000, '00000334 / c data minmag(1),minmag(2) / '20000000, '00000201 / c data maxmag(1),maxmag(2) / '37777777, '37777577 / c c Machine constants for the Cray-1. c c data mcheps(1) / 0376424000000000000000b / c data mcheps(2) / 0000000000000000000000b / c c data minmag(1) / 0200034000000000000000b / c data minmag(2) / 0000000000000000000000b / c c data maxmag(1) / 0577777777777777777777b / c data maxmag(2) / 0000007777777777777776b / c c Machine constants for the Prime 400. c c data mcheps(1),mcheps(2) / :10000000000, :00000000123 / c data minmag(1),minmag(2) / :10000000000, :00000100000 / c data maxmag(1),maxmag(2) / :17777777777, :37777677776 / c c Machine constants for the VAX-11. c c data mcheps(1),mcheps(2) / 9472, 0 / c data minmag(1),minmag(2) / 128, 0 / c data maxmag(1),maxmag(2) / -32769, -1 / c c Machine constants for IEEE machines. c data dmach(1) /2.22044604926d-16/ data dmach(2) /2.22507385852d-308/ data dmach(3) /1.79769313485d+308/ c dpmpar = dmach(i) return c c Last card of function dpmpar. c end double precision function enorm(n,x) integer n double precision x(n) c ********** c c function enorm c c given an n-vector x, this function calculates the c euclidean norm of x. c c the euclidean norm is computed by accumulating the sum of c squares in three different sums. the sums of squares for the c small and large components are scaled so that no overflows c occur. non-destructive underflows are permitted. underflows c and overflows do not occur in the computation of the unscaled c sum of squares for the intermediate components. c the definitions of small, intermediate and large components c depend on two constants, rdwarf and rgiant. the main c restrictions on these constants are that rdwarf**2 not c underflow and rgiant**2 not overflow. the constants c given here are suitable for every known computer. c c the function statement is c c double precision function enorm(n,x) c c where c c n is a positive integer input variable. c c x is an input array of length n. c c subprograms called c c fortran-supplied ... dabs,dsqrt c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer i double precision agiant,floatn,one,rdwarf,rgiant,s1,s2,s3,xabs, * x1max,x3max,zero data one,zero,rdwarf,rgiant /1.0d0,0.0d0,3.834d-20,1.304d19/ s1 = zero s2 = zero s3 = zero x1max = zero x3max = zero floatn = n agiant = rgiant/floatn do 90 i = 1, n xabs = dabs(x(i)) if (xabs .gt. rdwarf .and. xabs .lt. agiant) go to 70 if (xabs .le. rdwarf) go to 30 c c sum for large components. c if (xabs .le. x1max) go to 10 s1 = one + s1*(x1max/xabs)**2 x1max = xabs go to 20 10 continue s1 = s1 + (xabs/x1max)**2 20 continue go to 60 30 continue c c sum for small components. c if (xabs .le. x3max) go to 40 s3 = one + s3*(x3max/xabs)**2 x3max = xabs go to 50 40 continue if (xabs .ne. zero) s3 = s3 + (xabs/x3max)**2 50 continue 60 continue go to 80 70 continue c c sum for intermediate components. c s2 = s2 + xabs**2 80 continue 90 continue c c calculation of norm. c if (s1 .eq. zero) go to 100 enorm = x1max*dsqrt(s1+(s2/x1max)/x1max) go to 130 100 continue if (s2 .eq. zero) go to 110 if (s2 .ge. x3max) * enorm = dsqrt(s2*(one+(x3max/s2)*(x3max*s3))) if (s2 .lt. x3max) * enorm = dsqrt(x3max*((s2/x3max)+(x3max*s3))) go to 120 110 continue enorm = x3max*dsqrt(s3) 120 continue 130 continue return c c last card of function enorm. c end subroutine lmder(fcn,m,n,x,fvec,fjac,ldfjac,ftol,xtol,gtol, * maxfev,diag,mode,factor,nprint,info,nfev,njev, * ipvt,qtf,wa1,wa2,wa3,wa4) integer m,n,ldfjac,maxfev,mode,nprint,info,nfev,njev integer ipvt(n) double precision ftol,xtol,gtol,factor double precision x(n),fvec(m),fjac(ldfjac,n),diag(n),qtf(n), * wa1(n),wa2(n),wa3(n),wa4(m) c ********** c c subroutine lmder c c the purpose of lmder is to minimize the sum of the squares of c m nonlinear functions in n variables by a modification of c the levenberg-marquardt algorithm. the user must provide a c subroutine which calculates the functions and the jacobian. c c the subroutine statement is c c subroutine lmder(fcn,m,n,x,fvec,fjac,ldfjac,ftol,xtol,gtol, c maxfev,diag,mode,factor,nprint,info,nfev, c njev,ipvt,qtf,wa1,wa2,wa3,wa4) c c where c c fcn is the name of the user-supplied subroutine which c calculates the functions and the jacobian. fcn must c be declared in an external statement in the user c calling program, and should be written as follows. c c subroutine fcn(m,n,x,fvec,fjac,ldfjac,iflag) c integer m,n,ldfjac,iflag c double precision x(n),fvec(m),fjac(ldfjac,n) c ---------- c if iflag = 1 calculate the functions at x and c return this vector in fvec. do not alter fjac. c if iflag = 2 calculate the jacobian at x and c return this matrix in fjac. do not alter fvec. c ---------- c return c end c c the value of iflag should not be changed by fcn unless c the user wants to terminate execution of lmder. c in this case set iflag to a negative integer. c c m is a positive integer input variable set to the number c of functions. c c n is a positive integer input variable set to the number c of variables. n must not exceed m. c c x is an array of length n. on input x must contain c an initial estimate of the solution vector. on output x c contains the final estimate of the solution vector. c c fvec is an output array of length m which contains c the functions evaluated at the output x. c c fjac is an output m by n array. the upper n by n submatrix c of fjac contains an upper triangular matrix r with c diagonal elements of nonincreasing magnitude such that c c t t t c p *(jac *jac)*p = r *r, c c where p is a permutation matrix and jac is the final c calculated jacobian. column j of p is column ipvt(j) c (see below) of the identity matrix. the lower trapezoidal c part of fjac contains information generated during c the computation of r. c c ldfjac is a positive integer input variable not less than m c which specifies the leading dimension of the array fjac. c c ftol is a nonnegative input variable. termination c occurs when both the actual and predicted relative c reductions in the sum of squares are at most ftol. c therefore, ftol measures the relative error desired c in the sum of squares. c c xtol is a nonnegative input variable. termination c occurs when the relative error between two consecutive c iterates is at most xtol. therefore, xtol measures the c relative error desired in the approximate solution. c c gtol is a nonnegative input variable. termination c occurs when the cosine of the angle between fvec and c any column of the jacobian is at most gtol in absolute c value. therefore, gtol measures the orthogonality c desired between the function vector and the columns c of the jacobian. c c maxfev is a positive integer input variable. termination c occurs when the number of calls to fcn with iflag = 1 c has reached maxfev. c c diag is an array of length n. if mode = 1 (see c below), diag is internally set. if mode = 2, diag c must contain positive entries that serve as c multiplicative scale factors for the variables. c c mode is an integer input variable. if mode = 1, the c variables will be scaled internally. if mode = 2, c the scaling is specified by the input diag. other c values of mode are equivalent to mode = 1. c c factor is a positive input variable used in determining the c initial step bound. this bound is set to the product of c factor and the euclidean norm of diag*x if nonzero, or else c to factor itself. in most cases factor should lie in the c interval (.1,100.).100. is a generally recommended value. c c nprint is an integer input variable that enables controlled c printing of iterates if it is positive. in this case, c fcn is called with iflag = 0 at the beginning of the first c iteration and every nprint iterations thereafter and c immediately prior to return, with x, fvec, and fjac c available for printing. fvec and fjac should not be c altered. if nprint is not positive, no special calls c of fcn with iflag = 0 are made. c c info is an integer output variable. if the user has c terminated execution, info is set to the (negative) c value of iflag. see description of fcn. otherwise, c info is set as follows. c c info = 0 improper input parameters. c c info = 1 both actual and predicted relative reductions c in the sum of squares are at most ftol. c c info = 2 relative error between two consecutive iterates c is at most xtol. c c info = 3 conditions for info = 1 and info = 2 both hold. c c info = 4 the cosine of the angle between fvec and any c column of the jacobian is at most gtol in c absolute value. c c info = 5 number of calls to fcn with iflag = 1 has c reached maxfev. c c info = 6 ftol is too small. no further reduction in c the sum of squares is possible. c c info = 7 xtol is too small. no further improvement in c the approximate solution x is possible. c c info = 8 gtol is too small. fvec is orthogonal to the c columns of the jacobian to machine precision. c c nfev is an integer output variable set to the number of c calls to fcn with iflag = 1. c c njev is an integer output variable set to the number of c calls to fcn with iflag = 2. c c ipvt is an integer output array of length n. ipvt c defines a permutation matrix p such that jac*p = q*r, c where jac is the final calculated jacobian, q is c orthogonal (not stored), and r is upper triangular c with diagonal elements of nonincreasing magnitude. c column j of p is column ipvt(j) of the identity matrix. c c qtf is an output array of length n which contains c the first n elements of the vector (q transpose)*fvec. c c wa1, wa2, and wa3 are work arrays of length n. c c wa4 is a work array of length m. c c subprograms called c c user-supplied ...... fcn c c minpack-supplied ... dpmpar,enorm,lmpar,qrfac c c fortran-supplied ... dabs,dmax1,dmin1,dsqrt,mod c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer i,iflag,iter,j,l double precision actred,delta,dirder,epsmch,fnorm,fnorm1,gnorm, * one,par,pnorm,prered,p1,p5,p25,p75,p0001,ratio, * sum,temp,temp1,temp2,xnorm,zero double precision dpmpar,enorm data one,p1,p5,p25,p75,p0001,zero * /1.0d0,1.0d-1,5.0d-1,2.5d-1,7.5d-1,1.0d-4,0.0d0/ c c epsmch is the machine precision. c epsmch = dpmpar(1) c info = 0 iflag = 0 nfev = 0 njev = 0 c c check the input parameters for errors. c if (n .le. 0 .or. m .lt. n .or. ldfjac .lt. m * .or. ftol .lt. zero .or. xtol .lt. zero .or. gtol .lt. zero * .or. maxfev .le. 0 .or. factor .le. zero) go to 300 if (mode .ne. 2) go to 20 do 10 j = 1, n if (diag(j) .le. zero) go to 300 10 continue 20 continue c c evaluate the function at the starting point c and calculate its norm. c iflag = 1 call fcn(m,n,x,fvec,fjac,ldfjac,iflag) nfev = 1 if (iflag .lt. 0) go to 300 fnorm = enorm(m,fvec) c c initialize levenberg-marquardt parameter and iteration counter. c par = zero iter = 1 c c beginning of the outer loop. c 30 continue c c calculate the jacobian matrix. c iflag = 2 call fcn(m,n,x,fvec,fjac,ldfjac,iflag) njev = njev + 1 if (iflag .lt. 0) go to 300 c c if requested, call fcn to enable printing of iterates. c if (nprint .le. 0) go to 40 iflag = 0 if (mod(iter-1,nprint) .eq. 0) * call fcn(m,n,x,fvec,fjac,ldfjac,iflag) if (iflag .lt. 0) go to 300 40 continue c c compute the qr factorization of the jacobian. c call qrfac(m,n,fjac,ldfjac,.true.,ipvt,n,wa1,wa2,wa3) c c on the first iteration and if mode is 1, scale according c to the norms of the columns of the initial jacobian. c if (iter .ne. 1) go to 80 if (mode .eq. 2) go to 60 do 50 j = 1, n diag(j) = wa2(j) if (wa2(j) .eq. zero) diag(j) = one 50 continue 60 continue c c on the first iteration, calculate the norm of the scaled x c and initialize the step bound delta. c do 70 j = 1, n wa3(j) = diag(j)*x(j) 70 continue xnorm = enorm(n,wa3) delta = factor*xnorm if (delta .eq. zero) delta = factor 80 continue c c form (q transpose)*fvec and store the first n components in c qtf. c do 90 i = 1, m wa4(i) = fvec(i) 90 continue do 130 j = 1, n if (fjac(j,j) .eq. zero) go to 120 sum = zero do 100 i = j, m sum = sum + fjac(i,j)*wa4(i) 100 continue temp = -sum/fjac(j,j) do 110 i = j, m wa4(i) = wa4(i) + fjac(i,j)*temp 110 continue 120 continue fjac(j,j) = wa1(j) qtf(j) = wa4(j) 130 continue c c compute the norm of the scaled gradient. c gnorm = zero if (fnorm .eq. zero) go to 170 do 160 j = 1, n l = ipvt(j) if (wa2(l) .eq. zero) go to 150 sum = zero do 140 i = 1, j sum = sum + fjac(i,j)*(qtf(i)/fnorm) 140 continue gnorm = dmax1(gnorm,dabs(sum/wa2(l))) 150 continue 160 continue 170 continue c c test for convergence of the gradient norm. c if (gnorm .le. gtol) info = 4 if (info .ne. 0) go to 300 c c rescale if necessary. c if (mode .eq. 2) go to 190 do 180 j = 1, n diag(j) = dmax1(diag(j),wa2(j)) 180 continue 190 continue c c beginning of the inner loop. c 200 continue c c determine the levenberg-marquardt parameter. c call lmpar(n,fjac,ldfjac,ipvt,diag,qtf,delta,par,wa1,wa2, * wa3,wa4) c c store the direction p and x + p. calculate the norm of p. c do 210 j = 1, n wa1(j) = -wa1(j) wa2(j) = x(j) + wa1(j) wa3(j) = diag(j)*wa1(j) 210 continue pnorm = enorm(n,wa3) c c on the first iteration, adjust the initial step bound. c if (iter .eq. 1) delta = dmin1(delta,pnorm) c c evaluate the function at x + p and calculate its norm. c iflag = 1 call fcn(m,n,wa2,wa4,fjac,ldfjac,iflag) nfev = nfev + 1 if (iflag .lt. 0) go to 300 fnorm1 = enorm(m,wa4) c c compute the scaled actual reduction. c actred = -one if (p1*fnorm1 .lt. fnorm) actred = one - (fnorm1/fnorm)**2 c c compute the scaled predicted reduction and c the scaled directional derivative. c do 230 j = 1, n wa3(j) = zero l = ipvt(j) temp = wa1(l) do 220 i = 1, j wa3(i) = wa3(i) + fjac(i,j)*temp 220 continue 230 continue temp1 = enorm(n,wa3)/fnorm temp2 = (dsqrt(par)*pnorm)/fnorm prered = temp1**2 + temp2**2/p5 dirder = -(temp1**2 + temp2**2) c c compute the ratio of the actual to the predicted c reduction. c ratio = zero if (prered .ne. zero) ratio = actred/prered c c update the step bound. c if (ratio .gt. p25) go to 240 if (actred .ge. zero) temp = p5 if (actred .lt. zero) * temp = p5*dirder/(dirder + p5*actred) if (p1*fnorm1 .ge. fnorm .or. temp .lt. p1) temp = p1 delta = temp*dmin1(delta,pnorm/p1) par = par/temp go to 260 240 continue if (par .ne. zero .and. ratio .lt. p75) go to 250 delta = pnorm/p5 par = p5*par 250 continue 260 continue c c test for successful iteration. c if (ratio .lt. p0001) go to 290 c c successful iteration. update x, fvec, and their norms. c do 270 j = 1, n x(j) = wa2(j) wa2(j) = diag(j)*x(j) 270 continue do 280 i = 1, m fvec(i) = wa4(i) 280 continue xnorm = enorm(n,wa2) fnorm = fnorm1 iter = iter + 1 290 continue c c tests for convergence. c if (dabs(actred) .le. ftol .and. prered .le. ftol * .and. p5*ratio .le. one) info = 1 if (delta .le. xtol*xnorm) info = 2 if (dabs(actred) .le. ftol .and. prered .le. ftol * .and. p5*ratio .le. one .and. info .eq. 2) info = 3 if (info .ne. 0) go to 300 c c tests for termination and stringent tolerances. c if (nfev .ge. maxfev) info = 5 if (dabs(actred) .le. epsmch .and. prered .le. epsmch * .and. p5*ratio .le. one) info = 6 if (delta .le. epsmch*xnorm) info = 7 if (gnorm .le. epsmch) info = 8 if (info .ne. 0) go to 300 c c end of the inner loop. repeat if iteration unsuccessful. c if (ratio .lt. p0001) go to 200 c c end of the outer loop. c go to 30 300 continue c c termination, either normal or user imposed. c if (iflag .lt. 0) info = iflag iflag = 0 if (nprint .gt. 0) call fcn(m,n,x,fvec,fjac,ldfjac,iflag) return c c last card of subroutine lmder. c end subroutine lmder1(fcn,m,n,x,fvec,fjac,ldfjac,tol,info,ipvt,wa, * lwa) integer m,n,ldfjac,info,lwa integer ipvt(n) double precision tol double precision x(n),fvec(m),fjac(ldfjac,n),wa(lwa) external fcn c ********** c c subroutine lmder1 c c the purpose of lmder1 is to minimize the sum of the squares of c m nonlinear functions in n variables by a modification of the c levenberg-marquardt algorithm. this is done by using the more c general least-squares solver lmder. the user must provide a c subroutine which calculates the functions and the jacobian. c c the subroutine statement is c c subroutine lmder1(fcn,m,n,x,fvec,fjac,ldfjac,tol,info, c ipvt,wa,lwa) c c where c c fcn is the name of the user-supplied subroutine which c calculates the functions and the jacobian. fcn must c be declared in an external statement in the user c calling program, and should be written as follows. c c subroutine fcn(m,n,x,fvec,fjac,ldfjac,iflag) c integer m,n,ldfjac,iflag c double precision x(n),fvec(m),fjac(ldfjac,n) c ---------- c if iflag = 1 calculate the functions at x and c return this vector in fvec. do not alter fjac. c if iflag = 2 calculate the jacobian at x and c return this matrix in fjac. do not alter fvec. c ---------- c return c end c c the value of iflag should not be changed by fcn unless c the user wants to terminate execution of lmder1. c in this case set iflag to a negative integer. c c m is a positive integer input variable set to the number c of functions. c c n is a positive integer input variable set to the number c of variables. n must not exceed m. c c x is an array of length n. on input x must contain c an initial estimate of the solution vector. on output x c contains the final estimate of the solution vector. c c fvec is an output array of length m which contains c the functions evaluated at the output x. c c fjac is an output m by n array. the upper n by n submatrix c of fjac contains an upper triangular matrix r with c diagonal elements of nonincreasing magnitude such that c c t t t c p *(jac *jac)*p = r *r, c c where p is a permutation matrix and jac is the final c calculated jacobian. column j of p is column ipvt(j) c (see below) of the identity matrix. the lower trapezoidal c part of fjac contains information generated during c the computation of r. c c ldfjac is a positive integer input variable not less than m c which specifies the leading dimension of the array fjac. c c tol is a nonnegative input variable. termination occurs c when the algorithm estimates either that the relative c error in the sum of squares is at most tol or that c the relative error between x and the solution is at c most tol. c c info is an integer output variable. if the user has c terminated execution, info is set to the (negative) c value of iflag. see description of fcn. otherwise, c info is set as follows. c c info = 0 improper input parameters. c c info = 1 algorithm estimates that the relative error c in the sum of squares is at most tol. c c info = 2 algorithm estimates that the relative error c between x and the solution is at most tol. c c info = 3 conditions for info = 1 and info = 2 both hold. c c info = 4 fvec is orthogonal to the columns of the c jacobian to machine precision. c c info = 5 number of calls to fcn with iflag = 1 has c reached 100*(n+1). c c info = 6 tol is too small. no further reduction in c the sum of squares is possible. c c info = 7 tol is too small. no further improvement in c the approximate solution x is possible. c c ipvt is an integer output array of length n. ipvt c defines a permutation matrix p such that jac*p = q*r, c where jac is the final calculated jacobian, q is c orthogonal (not stored), and r is upper triangular c with diagonal elements of nonincreasing magnitude. c column j of p is column ipvt(j) of the identity matrix. c c wa is a work array of length lwa. c c lwa is a positive integer input variable not less than 5*n+m. c c subprograms called c c user-supplied ...... fcn c c minpack-supplied ... lmder c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer maxfev,mode,nfev,njev,nprint double precision factor,ftol,gtol,xtol,zero data factor,zero /1.0d2,0.0d0/ info = 0 c c check the input parameters for errors. c if (n .le. 0 .or. m .lt. n .or. ldfjac .lt. m .or. tol .lt. zero * .or. lwa .lt. 5*n + m) go to 10 c c call lmder. c maxfev = 100*(n + 1) ftol = tol xtol = tol gtol = zero mode = 1 nprint = 0 call lmder(fcn,m,n,x,fvec,fjac,ldfjac,ftol,xtol,gtol,maxfev, * wa(1),mode,factor,nprint,info,nfev,njev,ipvt,wa(n+1), * wa(2*n+1),wa(3*n+1),wa(4*n+1),wa(5*n+1)) if (info .eq. 8) info = 4 10 continue return c c last card of subroutine lmder1. c end subroutine lmpar(n,r,ldr,ipvt,diag,qtb,delta,par,x,sdiag,wa1, * wa2) integer n,ldr integer ipvt(n) double precision delta,par double precision r(ldr,n),diag(n),qtb(n),x(n),sdiag(n),wa1(n), * wa2(n) c ********** c c subroutine lmpar c c given an m by n matrix a, an n by n nonsingular diagonal c matrix d, an m-vector b, and a positive number delta, c the problem is to determine a value for the parameter c par such that if x solves the system c c a*x = b , sqrt(par)*d*x = 0 , c c in the least squares sense, and dxnorm is the euclidean c norm of d*x, then either par is zero and c c (dxnorm-delta) .le. 0.1*delta , c c or par is positive and c c abs(dxnorm-delta) .le. 0.1*delta . c c this subroutine completes the solution of the problem c if it is provided with the necessary information from the c qr factorization, with column pivoting, of a. that is, if c a*p = q*r, where p is a permutation matrix, q has orthogonal c columns, and r is an upper triangular matrix with diagonal c elements of nonincreasing magnitude, then lmpar expects c the full upper triangle of r, the permutation matrix p, c and the first n components of (q transpose)*b. on output c lmpar also provides an upper triangular matrix s such that c c t t t c p *(a *a + par*d*d)*p = s *s . c c s is employed within lmpar and may be of separate interest. c c only a few iterations are generally needed for convergence c of the algorithm. if, however, the limit of 10 iterations c is reached, then the output par will contain the best c value obtained so far. c c the subroutine statement is c c subroutine lmpar(n,r,ldr,ipvt,diag,qtb,delta,par,x,sdiag, c wa1,wa2) c c where c c n is a positive integer input variable set to the order of r. c c r is an n by n array. on input the full upper triangle c must contain the full upper triangle of the matrix r. c on output the full upper triangle is unaltered, and the c strict lower triangle contains the strict upper triangle c (transposed) of the upper triangular matrix s. c c ldr is a positive integer input variable not less than n c which specifies the leading dimension of the array r. c c ipvt is an integer input array of length n which defines the c permutation matrix p such that a*p = q*r. column j of p c is column ipvt(j) of the identity matrix. c c diag is an input array of length n which must contain the c diagonal elements of the matrix d. c c qtb is an input array of length n which must contain the first c n elements of the vector (q transpose)*b. c c delta is a positive input variable which specifies an upper c bound on the euclidean norm of d*x. c c par is a nonnegative variable. on input par contains an c initial estimate of the levenberg-marquardt parameter. c on output par contains the final estimate. c c x is an output array of length n which contains the least c squares solution of the system a*x = b, sqrt(par)*d*x = 0, c for the output par. c c sdiag is an output array of length n which contains the c diagonal elements of the upper triangular matrix s. c c wa1 and wa2 are work arrays of length n. c c subprograms called c c minpack-supplied ... dpmpar,enorm,qrsolv c c fortran-supplied ... dabs,dmax1,dmin1,dsqrt c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer i,iter,j,jm1,jp1,k,l,nsing double precision dxnorm,dwarf,fp,gnorm,parc,parl,paru,p1,p001, * sum,temp,zero double precision dpmpar,enorm data p1,p001,zero /1.0d-1,1.0d-3,0.0d0/ c c dwarf is the smallest positive magnitude. c dwarf = dpmpar(2) c c compute and store in x the gauss-newton direction. if the c jacobian is rank-deficient, obtain a least squares solution. c nsing = n do 10 j = 1, n wa1(j) = qtb(j) if (r(j,j) .eq. zero .and. nsing .eq. n) nsing = j - 1 if (nsing .lt. n) wa1(j) = zero 10 continue if (nsing .lt. 1) go to 50 do 40 k = 1, nsing j = nsing - k + 1 wa1(j) = wa1(j)/r(j,j) temp = wa1(j) jm1 = j - 1 if (jm1 .lt. 1) go to 30 do 20 i = 1, jm1 wa1(i) = wa1(i) - r(i,j)*temp 20 continue 30 continue 40 continue 50 continue do 60 j = 1, n l = ipvt(j) x(l) = wa1(j) 60 continue c c initialize the iteration counter. c evaluate the function at the origin, and test c for acceptance of the gauss-newton direction. c iter = 0 do 70 j = 1, n wa2(j) = diag(j)*x(j) 70 continue dxnorm = enorm(n,wa2) fp = dxnorm - delta if (fp .le. p1*delta) go to 220 c c if the jacobian is not rank deficient, the newton c step provides a lower bound, parl, for the zero of c the function. otherwise set this bound to zero. c parl = zero if (nsing .lt. n) go to 120 do 80 j = 1, n l = ipvt(j) wa1(j) = diag(l)*(wa2(l)/dxnorm) 80 continue do 110 j = 1, n sum = zero jm1 = j - 1 if (jm1 .lt. 1) go to 100 do 90 i = 1, jm1 sum = sum + r(i,j)*wa1(i) 90 continue 100 continue wa1(j) = (wa1(j) - sum)/r(j,j) 110 continue temp = enorm(n,wa1) parl = ((fp/delta)/temp)/temp 120 continue c c calculate an upper bound, paru, for the zero of the function. c do 140 j = 1, n sum = zero do 130 i = 1, j sum = sum + r(i,j)*qtb(i) 130 continue l = ipvt(j) wa1(j) = sum/diag(l) 140 continue gnorm = enorm(n,wa1) paru = gnorm/delta if (paru .eq. zero) paru = dwarf/dmin1(delta,p1) c c if the input par lies outside of the interval (parl,paru), c set par to the closer endpoint. c par = dmax1(par,parl) par = dmin1(par,paru) if (par .eq. zero) par = gnorm/dxnorm c c beginning of an iteration. c 150 continue iter = iter + 1 c c evaluate the function at the current value of par. c if (par .eq. zero) par = dmax1(dwarf,p001*paru) temp = dsqrt(par) do 160 j = 1, n wa1(j) = temp*diag(j) 160 continue call qrsolv(n,r,ldr,ipvt,wa1,qtb,x,sdiag,wa2) do 170 j = 1, n wa2(j) = diag(j)*x(j) 170 continue dxnorm = enorm(n,wa2) temp = fp fp = dxnorm - delta c c if the function is small enough, accept the current value c of par. also test for the exceptional cases where parl c is zero or the number of iterations has reached 10. c if (dabs(fp) .le. p1*delta * .or. parl .eq. zero .and. fp .le. temp * .and. temp .lt. zero .or. iter .eq. 10) go to 220 c c compute the newton correction. c do 180 j = 1, n l = ipvt(j) wa1(j) = diag(l)*(wa2(l)/dxnorm) 180 continue do 210 j = 1, n wa1(j) = wa1(j)/sdiag(j) temp = wa1(j) jp1 = j + 1 if (n .lt. jp1) go to 200 do 190 i = jp1, n wa1(i) = wa1(i) - r(i,j)*temp 190 continue 200 continue 210 continue temp = enorm(n,wa1) parc = ((fp/delta)/temp)/temp c c depending on the sign of the function, update parl or paru. c if (fp .gt. zero) parl = dmax1(parl,par) if (fp .lt. zero) paru = dmin1(paru,par) c c compute an improved estimate for par. c par = dmax1(parl,par+parc) c c end of an iteration. c go to 150 220 continue c c termination. c if (iter .eq. 0) par = zero return c c last card of subroutine lmpar. c end subroutine qrfac(m,n,a,lda,pivot,ipvt,lipvt,rdiag,acnorm,wa) integer m,n,lda,lipvt integer ipvt(lipvt) logical pivot double precision a(lda,n),rdiag(n),acnorm(n),wa(n) c ********** c c subroutine qrfac c c this subroutine uses householder transformations with column c pivoting (optional) to compute a qr factorization of the c m by n matrix a. that is, qrfac determines an orthogonal c matrix q, a permutation matrix p, and an upper trapezoidal c matrix r with diagonal elements of nonincreasing magnitude, c such that a*p = q*r. the householder transformation for c column k, k = 1,2,...,min(m,n), is of the form c c t c i - (1/u(k))*u*u c c where u has zeros in the first k-1 positions. the form of c this transformation and the method of pivoting first c appeared in the corresponding linpack subroutine. c c the subroutine statement is c c subroutine qrfac(m,n,a,lda,pivot,ipvt,lipvt,rdiag,acnorm,wa) c c where c c m is a positive integer input variable set to the number c of rows of a. c c n is a positive integer input variable set to the number c of columns of a. c c a is an m by n array. on input a contains the matrix for c which the qr factorization is to be computed. on output c the strict upper trapezoidal part of a contains the strict c upper trapezoidal part of r, and the lower trapezoidal c part of a contains a factored form of q (the non-trivial c elements of the u vectors described above). c c lda is a positive integer input variable not less than m c which specifies the leading dimension of the array a. c c pivot is a logical input variable. if pivot is set true, c then column pivoting is enforced. if pivot is set false, c then no column pivoting is done. c c ipvt is an integer output array of length lipvt. ipvt c defines the permutation matrix p such that a*p = q*r. c column j of p is column ipvt(j) of the identity matrix. c if pivot is false, ipvt is not referenced. c c lipvt is a positive integer input variable. if pivot is false, c then lipvt may be as small as 1. if pivot is true, then c lipvt must be at least n. c c rdiag is an output array of length n which contains the c diagonal elements of r. c c acnorm is an output array of length n which contains the c norms of the corresponding columns of the input matrix a. c if this information is not needed, then acnorm can coincide c with rdiag. c c wa is a work array of length n. if pivot is false, then wa c can coincide with rdiag. c c subprograms called c c minpack-supplied ... dpmpar,enorm c c fortran-supplied ... dmax1,dsqrt,min0 c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer i,j,jp1,k,kmax,minmn double precision ajnorm,epsmch,one,p05,sum,temp,zero double precision dpmpar,enorm data one,p05,zero /1.0d0,5.0d-2,0.0d0/ c c epsmch is the machine precision. c epsmch = dpmpar(1) c c compute the initial column norms and initialize several arrays. c do 10 j = 1, n acnorm(j) = enorm(m,a(1,j)) rdiag(j) = acnorm(j) wa(j) = rdiag(j) if (pivot) ipvt(j) = j 10 continue c c reduce a to r with householder transformations. c minmn = min0(m,n) do 110 j = 1, minmn if (.not.pivot) go to 40 c c bring the column of largest norm into the pivot position. c kmax = j do 20 k = j, n if (rdiag(k) .gt. rdiag(kmax)) kmax = k 20 continue if (kmax .eq. j) go to 40 do 30 i = 1, m temp = a(i,j) a(i,j) = a(i,kmax) a(i,kmax) = temp 30 continue rdiag(kmax) = rdiag(j) wa(kmax) = wa(j) k = ipvt(j) ipvt(j) = ipvt(kmax) ipvt(kmax) = k 40 continue c c compute the householder transformation to reduce the c j-th column of a to a multiple of the j-th unit vector. c ajnorm = enorm(m-j+1,a(j,j)) if (ajnorm .eq. zero) go to 100 if (a(j,j) .lt. zero) ajnorm = -ajnorm do 50 i = j, m a(i,j) = a(i,j)/ajnorm 50 continue a(j,j) = a(j,j) + one c c apply the transformation to the remaining columns c and update the norms. c jp1 = j + 1 if (n .lt. jp1) go to 100 do 90 k = jp1, n sum = zero do 60 i = j, m sum = sum + a(i,j)*a(i,k) 60 continue temp = sum/a(j,j) do 70 i = j, m a(i,k) = a(i,k) - temp*a(i,j) 70 continue if (.not.pivot .or. rdiag(k) .eq. zero) go to 80 temp = a(j,k)/rdiag(k) rdiag(k) = rdiag(k)*dsqrt(dmax1(zero,one-temp**2)) if (p05*(rdiag(k)/wa(k))**2 .gt. epsmch) go to 80 rdiag(k) = enorm(m-j,a(jp1,k)) wa(k) = rdiag(k) 80 continue 90 continue 100 continue rdiag(j) = -ajnorm 110 continue return c c last card of subroutine qrfac. c end subroutine qrsolv(n,r,ldr,ipvt,diag,qtb,x,sdiag,wa) integer n,ldr integer ipvt(n) double precision r(ldr,n),diag(n),qtb(n),x(n),sdiag(n),wa(n) c ********** c c subroutine qrsolv c c given an m by n matrix a, an n by n diagonal matrix d, c and an m-vector b, the problem is to determine an x which c solves the system c c a*x = b , d*x = 0 , c c in the least squares sense. c c this subroutine completes the solution of the problem c if it is provided with the necessary information from the c qr factorization, with column pivoting, of a. that is, if c a*p = q*r, where p is a permutation matrix, q has orthogonal c columns, and r is an upper triangular matrix with diagonal c elements of nonincreasing magnitude, then qrsolv expects c the full upper triangle of r, the permutation matrix p, c and the first n components of (q transpose)*b. the system c a*x = b, d*x = 0, is then equivalent to c c t t c r*z = q *b , p *d*p*z = 0 , c c where x = p*z. if this system does not have full rank, c then a least squares solution is obtained. on output qrsolv c also provides an upper triangular matrix s such that c c t t t c p *(a *a + d*d)*p = s *s . c c s is computed within qrsolv and may be of separate interest. c c the subroutine statement is c c subroutine qrsolv(n,r,ldr,ipvt,diag,qtb,x,sdiag,wa) c c where c c n is a positive integer input variable set to the order of r. c c r is an n by n array. on input the full upper triangle c must contain the full upper triangle of the matrix r. c on output the full upper triangle is unaltered, and the c strict lower triangle contains the strict upper triangle c (transposed) of the upper triangular matrix s. c c ldr is a positive integer input variable not less than n c which specifies the leading dimension of the array r. c c ipvt is an integer input array of length n which defines the c permutation matrix p such that a*p = q*r. column j of p c is column ipvt(j) of the identity matrix. c c diag is an input array of length n which must contain the c diagonal elements of the matrix d. c c qtb is an input array of length n which must contain the first c n elements of the vector (q transpose)*b. c c x is an output array of length n which contains the least c squares solution of the system a*x = b, d*x = 0. c c sdiag is an output array of length n which contains the c diagonal elements of the upper triangular matrix s. c c wa is a work array of length n. c c subprograms called c c fortran-supplied ... dabs,dsqrt c c argonne national laboratory. minpack project. march 1980. c burton s. garbow, kenneth e. hillstrom, jorge j. more c c ********** integer i,j,jp1,k,kp1,l,nsing double precision cos,cotan,p5,p25,qtbpj,sin,sum,tan,temp,zero data p5,p25,zero /5.0d-1,2.5d-1,0.0d0/ c c copy r and (q transpose)*b to preserve input and initialize s. c in particular, save the diagonal elements of r in x. c do 20 j = 1, n do 10 i = j, n r(i,j) = r(j,i) 10 continue x(j) = r(j,j) wa(j) = qtb(j) 20 continue c c eliminate the diagonal matrix d using a givens rotation. c do 100 j = 1, n c c prepare the row of d to be eliminated, locating the c diagonal element using p from the qr factorization. c l = ipvt(j) if (diag(l) .eq. zero) go to 90 do 30 k = j, n sdiag(k) = zero 30 continue sdiag(j) = diag(l) c c the transformations to eliminate the row of d c modify only a single element of (q transpose)*b c beyond the first n, which is initially zero. c qtbpj = zero do 80 k = j, n c c determine a givens rotation which eliminates the c appropriate element in the current row of d. c if (sdiag(k) .eq. zero) go to 70 if (dabs(r(k,k)) .ge. dabs(sdiag(k))) go to 40 cotan = r(k,k)/sdiag(k) sin = p5/dsqrt(p25+p25*cotan**2) cos = sin*cotan go to 50 40 continue tan = sdiag(k)/r(k,k) cos = p5/dsqrt(p25+p25*tan**2) sin = cos*tan 50 continue c c compute the modified diagonal element of r and c the modified element of ((q transpose)*b,0). c r(k,k) = cos*r(k,k) + sin*sdiag(k) temp = cos*wa(k) + sin*qtbpj qtbpj = -sin*wa(k) + cos*qtbpj wa(k) = temp c c accumulate the tranformation in the row of s. c kp1 = k + 1 if (n .lt. kp1) go to 70 do 60 i = kp1, n temp = cos*r(i,k) + sin*sdiag(i) sdiag(i) = -sin*r(i,k) + cos*sdiag(i) r(i,k) = temp 60 continue 70 continue 80 continue 90 continue c c store the diagonal element of s and restore c the corresponding diagonal element of r. c sdiag(j) = r(j,j) r(j,j) = x(j) 100 continue c c solve the triangular system for z. if the system is c singular, then obtain a least squares solution. c nsing = n do 110 j = 1, n if (sdiag(j) .eq. zero .and. nsing .eq. n) nsing = j - 1 if (nsing .lt. n) wa(j) = zero 110 continue if (nsing .lt. 1) go to 150 do 140 k = 1, nsing j = nsing - k + 1 sum = zero jp1 = j + 1 if (nsing .lt. jp1) go to 130 do 120 i = jp1, nsing sum = sum + r(i,j)*wa(i) 120 continue 130 continue wa(j) = (wa(j) - sum)/sdiag(j) 140 continue 150 continue c c permute the components of z back to components of x. c do 160 j = 1, n l = ipvt(j) x(l) = wa(j) 160 continue return c c last card of subroutine qrsolv. c end